Appendix 1
Euronext.liffe equity
index future contract
specification
EXCHANGE CONTRACT NO. 29
FTSE 100 INDEX CONTRACT
CONTRACT TERMS – Issue Date: 5 December 1997
ADMINISTRATIVE PROCEDURES – Issue Date: 12 February 1998
Delivery months: June 1998 onwards
FTSE 100 INDEX CONTRACT
THE LONDON INTERNATIONAL FINANCIAL FUTURES AND OPTIONS
EXCHANGE
Terms of Exchange Contract No. 29
1. Interpretation
1.01 Save as otherwise specified herein, words and phrases defined in the
Rules shall have the same meanings in these terms and in the Administrative
Procedures.
1.02 In these terms and in the Administrative Procedures: ‘Administrative
Procedures’ means all procedures from time to time implemented by the
Board pursuant to the Rules for the purposes of this Exchange Contract.
‘business day’ means a day on which the market and the Stock Exchange
are open for business.
‘Contract’ means a contract made expressly or impliedly in the terms
of this Exchange Contract for the sale and purchase of one or more lots,
and ‘registered Contract’ means a Contract registered by the Clearing
House.
‘Conversion Date’ means the date on which pursuant to Economic and
Monetary Union in the European Union the conversion rate for Sterling
against a Single Currency which is on such date ‘a currency in its own right’ is
‘irrevocably fixed’ in accordance with Article 109_ of the EC treaty.
‘delivery month’ means each month specified as such by the Board pursuant
to the Rules.
‘EC Treaty’ means the treaty establishing the European Community. ‘EDSP’
means the Exchange Delivery Settlement Price and has the meaning attrib-
uted to it in term 5.
‘FTSE International’ means FTSE International Limited.
‘Index’ means the index of stock prices calculated by FTSE International and
known as ‘The FTSE 100 Index’.
‘Last Trading Day’ means in respect of any delivery month the third Friday in
that month provided that if it is not a business day then the Last Trading
Day shall be the last business day preceding the third Friday (subject in all
cases to term 7).
‘Market day’ means a day on which the market, the Clearing House and
banks in London are open for business.
‘£’ denotes the lawful currency of the United Kingdom, known, at the date of
issues of these contract terms, as ‘Sterling’.
‘Regulations’ means the General Regulations and Default Rules from time to
time in force of the Clearing House.
‘Settlement Day’ means in respect of a delivery month the first market day
after the Last Trading Day.
‘Single Currency’ means a lawful currency introduced in the United Kingdom
pursuant to its participation in Economic and Monetary Union in the
European Union.
‘Stock Exchange’ means The London Stock Exchange Limited.
‘Weighting’ means the factor which, when multiplied by the price of a con-
stituent stock expressed in Sterling, determines the contribution to the Index
figure made of that constituent stock.
1.03 In these terms references to ‘lawful currency’ shall be construed to
include units of value of a Single Currency which may be used validly to
discharge payment obligations pursuant to the law of the United Kingdom
upon introduction of such Single Currency and notwithstanding that such
204 Euronext.liffe equity index future contract specification
units of value of such Single Currency may not at all material times follow-
ing the Conversion Date constitute legal tender in the United Kingdom.
1.04 Reference to a ‘term’ refers to a term hereof and reference to a ‘Rule’
refers to a rule of the Exchange’s Rules. Save where the context otherwise
requires references herein to the singular include the plural, and vice versa.
2. Contract Specification
2.01 These terms shall apply to all Contracts.
2.02 Each Contract shall be for one or more lots for the delivery month
specified.
3. Price
3.01 Bids and offers shall be quoted in ‘Value Points’ and prices shall be a
whole number multiple of the minimum price fluctuation, as specified in the
Administrative Procedures.
3.02 One Value Point shall be 0.1 and shall have a value of £1.00 per lot.
4. Last Trading Day
4.01 On the Last Trading Day:
(a) trading in Contracts for the relevant delivery month shall cease at such
time as may be specified in the Administrative Procedures; and
(b) the Exchange will calculate the EDSP in accordance with term 5.
5. Exchange Delivery Settlement Price (‘EDSP’)
5.01 The EDSP for Contracts for a particular delivery month shall, subject as
provided in term 6, be calculated by exchange officials as the average of such
Index figures (but subject to any corrections in accordance with term 6), on
the Last Trading Day as are specified for this purpose in the Administrative
Procedures, rounded to the nearest 0.5 or, where such average is an exact
uneven multiple of 0.25, to the nearest higher 0.5.
5.02 The Exchange shall publish a provisional EDSP and the final EDSP at or
by such times as may be specified in the Administrative Procedures. The final
EDSP shall be final and binding for all purposes.
5.03 This term 5.03 shall apply to Contracts for delivery months from
September 1997 onwards. The Board may from time to time amend the method
for and timing of the calculation of the EDSP for any reason determined by the
Board and any such changes shall have such effect with regard to existing
and/or new Contracts as the Board may determine.
6. Errors in Index
6.01 If, not later than the time on the Last Trading Day specified for that pur-
pose in the Administrative Procedures, any member of the Exchange notifies
exchange officials of, or there otherwise comes to the attention of exchange
Euronext.liffe equity index future contract specification 205
officials, an alleged or apparent error in the Index due to any alleged or appar-
ent error in the weighting of the price for any constituent stock of the Index
first made since the publication of the closing Index figure on the last busi-
ness day prior to the Last Trading Day, then exchange officials shall promptly
investigate such alleged or apparent error. If in their opinion an error has been
made, the Exchange shall as soon as reasonably practicable publish a correc-
tion to the Index and the EDSP shall be calculated using Index figures as so
corrected. Save as allowed by term 6.02, no correction to the Index shall be
made in respect of any error notified to exchange officials or coming to their
attention after the time so specified in the Administrative Procedures.
6.02 If, not later than thirty minutes after the provisional EDSP for a particular
delivery month is first published, any member of the Exchange notifies
exchange officials of, or there otherwise come to the attention of exchange offi-
cials, an alleged or apparent error in the Index due to any cause whatsoever
other than an error in the weighting of the price for any constituent stock of the
Index, then exchange officials shall investigate such alleged or apparent error.
If in their opinion an error has been made, they shall correct any Index figures
affected thereby which have been or will be used to calculate the EDSP for that
delivery month and shall calculate or re-calculate (as the case may be) the
EDSP in accordance therewith. No correction of Index figures or recalculation
of the EDSP shall be made in respect of any error notified to exchange officials
or coming to their attention after the expiry of such thirty minute period.
6.03 No correction to the Index or re-calculation of the EDSP shall be made
other than as may be allowed for in term 6.01 and 6.02.
6.04 Neither the Exchange nor exchange officials shall have any liability
whatsoever in respect of any decision as to whether or not to correct
Index figures or as to the amount of any correction, or as to whether or not
to re-calculate the EDSP.
7. Emergency Provisions
7.01 If, at any time after the close of trading two business days prior to the
day which would have been the Last Trading Day in respect of a delivery
month, it becomes known to the Exchange that on the day which would have
been the Last Trading Day either or both of the market and the Stock
Exchange will not be open for business, then the business day next following
such day shall become the Last Trading Day in respect of that delivery
month and the Exchange shall post a notice to that effect in the market.
7.02 If, after the commencement of trading on the Last Trading Day in
respect of a delivery month, either or both of the market and the Stock
Exchange closes for business or FTSE International for any reason does not
calculate or does not publish or ceases to publish the Index or for any rea-
son the Exchange does not display the Index figure in the market, with the
effect that trading in Contracts for that delivery month is, in the opinion of
206 Euronext.liffe equity index future contract specification
exchange officials, substantially prevented or hindered or that there are
insufficient Index figures from which to calculate the EDSP in accordance
with term 5.01 and the Administrative Procedures, then either:
(a) cessation of trading in Contracts for the current delivery month shall be
postponed until such later time on that day as exchange officials may in
their absolute discretion specify by notice posted in the market, in which
case the EDSP shall be calculated in accordance with term 5.01 but using
the Index figures during a period so specified in their absolute discretion by
exchange officials and the provisional and final EDSPs shall be published at
such times as exchange officials shall in their discretion determine, always
allowing for the thirty minute period referred to in term 6.02; or
(b) if, in the opinion of exchange officials, the course described in paragraph
(a) would be impossible, impracticable or for any reason undesirable, they may
by notice posted in the market declare that day not to be the Last Trading Day
and the next following business day, or any later business day chosen by
them in their absolute discretion, to be the Last Trading Day in its place.
8. Payment
8.01 In respect of each lot comprised in a Contract the following payments
shall be made by the time specified therefor in the Administrative
Procedures:
(a) where the final EDSP exceeds the Contract price, payment by the Seller to
the Clearing House and payment by the Clearing House to the Buyer; and
(b) where the Contract price exceeds the final EDSP, payment by the Buyer
to the Clearing House and payment by the Clearing House to the Seller.
FTSE 100 Index
Member Handbook Volume 2 (30 June 1998) 4.1a.7
of an amount calculated by multiplying the difference in Value Points
between the EDSP and the Contract price by the value per lot of one Value
Point as specified in term 3.02.
9. Default
9.01 A Buyer or a Seller shall be in default where:
(a) he fails to fulfil his obligations under a Contract by the time and in the
manner prescribed and in accordance with these terms, the Rules and the
Administrative Procedures and the Regulations; or
(b) he fails to pay any sum due to the Clearing House in respect of a registered
Contract by the time specified in these terms or in the Administrative
Procedures or under the Regulations; or
(c) in the reasonable opinion of the Clearing House he is in default.
9.02 Subject to the default rules of the Clearing House, in the event of
default by a Buyer or a Seller in respect of a registered Contract, the Board
shall, at the request of the Clearing House, forthwith fix a price for invoicing
Euronext.liffe equity index future contract specification 207
..................Content has been hidden....................
You can't read the all page of ebook, please click here login for view all page.